Basis Risk on a Futures Contract Is

question 546

Multiple Choice

Basis risk on a futures contract is:

• A) The risk of an adverse change in the futures price
• B) The risk of an adverse change in the spread between futures and cash prices
• C) The progressive illiquidity of a futures contract as it approaches expiry
• D) The risk of a divergence between the futures price and the final fixing of the underlying interest rate

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Definitions:

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